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EFTA Document EFTA01456529
Title Matchefta-efta01456529
Case Filesd-10-EFTA01456529Dept. of JusticeEFTA Document EFTA01456529
Unknown1p
Case File
sd-10-EFTA01456529Dept. of JusticeEFTA Document EFTA01456529
Other
Dispersion Basket: SPX, EEM, SXSE, HSCEI, NKY Expiry: 18 Dec 2015 Strike: ATMF (11.2%) Offer: 2.4% where Final Payout = Notional • max(Average Realized Dispersion - Strike,0) Average Realized Dispersion = Average(absolute value of Individual Dispersion for each Index i) Individual Dispersion for Index i = Final Performance for Index i - Average Performance Average Performance = average (Final Performance for each Index i) Final Performance for Index i = (Final_level(i)/Initial_level
Date
Unknown
Source
Dept. of Justice
Reference
sd-10-EFTA01456529
Pages
1
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0
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